New York Mortgage Trust Inc (NYMT) 2010 Q1 法說會逐字稿

Good morning, ladies and gentlemen, and thank you for standing by. Welcome to the New York Mortgage Trust first quarter 2010 results conference call.

During today's presentation, all parties will be in a listen-only mode. Following the presentation, the conference will be open for questions. (Operator Instructions). This conference is being recorded on Wednesday, May 5, 2010.

A press release with NYMT's first-quarter 2010 results was released yesterday. The press release is available on the Company's website at www.NYMTRUST.com in the Investor Relations section.

Additionally, we are hosting a live webcast of today's call which you can also access in the Investor Relations section of the Company's website. At this time, management would like me to inform you that certain statements made during the conference call which are not historical may be deemed forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995.

Although New York Mortgage Trust believes the expectations reflected in any forward-looking statements are based on reasonable assumptions, it can give no assurance that its expectations will be attained. Factors and risks that could cause actual results to differ materially from expectations are detailed in yesterday's press release and from time to time in the Company's filings with the SEC. Now at this time for opening remarks, I would like to introduces Steve Mumma, Chief Executive Officer, President and Chief Financial Officer. Steve, please go ahead.

Thank you, operator. Good morning, everyone, and thank you for being on call. Jim Fowler, our Chairman, is also on the call and will be available during the Q&A period.

The first quarter was relatively non-eventful for New York Mortgage Trust as compared to both the prior year's first quarter and the whole of 2009. Our portfolio restructuring initiative which began in the first quarter of 2009 and continued throughout the year continues to perform above our expectations.

Some of the highlights in our first quarter ending March 31, 2010 included the Company earned $2.7 million in net income or $0.28 per common share as compared to $2.1 million or $0.22 per common share for the period ended March 31, 2009.

The Company declared and paid a $0.25 common stock dividend for the first quarter ending 2010. The Company ended the quarter with a book value of $6.89 per common share as compared to $4.45 per common share as of March 31, 2009 and $6.69 per common share as of December 31, 2009.

The book value for March 31, 2010 includes a net unrealized gain of $1.43 per common share comprised of $1.69 per common share of net unrealized gains related to our investment portfolio, offset by a $0.26 per common share unrealized loss related to our hedging instruments. It should be noted that approximately $1.61 per common share of the unrealized gains in our investment portfolio are related to securities purchased in 2009.

The net portfolio margin decreased by 8 basis points to 425 basis points from 433 basis points in the previous quarter and was an increase of 173 basis points from the first quarter of 2009. The Company continued to maintain excess liquidity, including $22.7 million in cash, $87 million in unencumbered securities and approximately $30 million of agency RMBS.

Now to go into further detail. The Company had net interest margin of $3.4 million for the quarter for the first quarter of 2010 as compared to $4.1 million for the first quarter of 2009. The decrease of $0.7 million was due mainly to a decrease of $372 million in average earning assets rom march 31, 2009 to March 31, 2010.

This was a planned reduction as part of our portfolio restructuring that took place in 2009. Including the sale of approximately $160 million in lower yielding agency CMO floaters in the first quarter of 2009, an additional sale of $34 million of the same agency CMO floaters in the second quarter and the sale of approximately $98 million in agency ARMs in the fourth quarter of 2009. All of these sales resulted in a reduction of leverage which at March 31, 2009 was 6.6 to 1 and is currently running at 1.2 to 1.

In addition, the Company focused on adding more credit-sensitive assets including $46 million in CLO notes purchased at the end of the first quarter of 2009 and $48 million in non-agency RMBS that were purchased during the second and third quarters of 2009.

While the overall size of the portfolio has decreased, our margins have expanded by over 170 basis points. The Company continues to seek investments that we believe will result in higher ROEs with less dependence on leverage than previously deployed.

The Company had a $0.8 million realized gain from the sale of approximately $3.4 million of non-agency RMBS during the quarter. The Company will continue to sell opportunistically the non-agency portfolio accumulated in 2009 during the 2010 year.

The Company had no significant additions to loan-loss reserves during the quarter as total dollar delinquent loans greater than 60 days remained approximately unchanged as compared to December 31, 2009 with several large loan balance loans reperforming after rehabilitating through our short-term modification program. The Company had total expenses of $1.9 million for the first quarter ended March 31, 2010; an increase of approximately $300,000 from the first quarter of March 31, 2009. This increase was mainly due to increased management fees attributable to the buildout of our alternative asset strategy in 2009, including the repurchase of the CLO notes.

The 2010 first quarter expense rate was approximately unchanged from the fourth quarter run rate of 2009. In addition, the Company entered into an outsourcing agreement in April 2009 for accounting, treasury and human resource processes. This ultimately will lead to reduced expenditures as more expenses will be shifted to a fixed cost basis away from a salary bonus variable cost, including the associated employee benefit costs.

Our portfolio net margin averaged 425 basis points during the quarter ended March 31, 2010 as compared to 433 basis points in the previous quarter and 252 basis points for the quarter ended March 31, 2009. The decrease in 8 basis points was due mainly to decreased (inaudible) in our non-agency portfolio, lower coupons [on our loan sale] and securitization due to rate resets in our first securitization which was offset by an increase in yields from our CLO notes.

The Company did not have any Freddie Mac exposure in its agency portfolio and therefore did not experience any margin erosion from the delinquent loan buyback program announced during the first quarter. The Company however does have approximately $110 million in Fannie Mae agency ARM securities which will experience buyback program during the second quarter.

Company CPR at the end of the first quarter for our agency portfolio ended at 15 CPR. The CPR speeds in April, first month in the second quarter was 31 CPR and we anticipate these speeds to be that approximate range during the second quarter and then go back to a more normal range in the higher teens.

Company's average earning assets for the first quarter were approximately $425 million as compared to $478 million for the quarter ended December 31, and $797 million for the quarter ended March 31, 2009. As previously stated, our average earning assets will run at lower levels as compared to previous periods as we incorporate less leverage in our overall strategy.

As of March 31, 2010 the Company had total assets of $464 million as compared to $489 million at December 31, 2009. Included in total assets as of March 31, 2010 were $167 million in investment securities and $259 million in mortgage loans held in a securitization trust.

The Company had total liabilities of $399 million at March 31 as compared to $426 million as of December 31, 2009. Included in these liabilities were $76 million of repurchase agreements related to our agency securities, $250 million of permanently financed CDOs related to our on-balance-sheet securitizations, $20 million in convertible preferred and $45 million in subordinated debt.

As of March 31, 2010 the residential MBS securities portfolio totaled approximately $167 million and consisted of $110 million of agency hybrid ARMs, $36 million of non-agency and $22 million of CLO notes which are actually not part of the residential portfolio. Our residential MBS portfolio had an average coupon during the first quarter of 4.51% and a yield of 5.86%.

The RMBS portfolio had an average CPR rate for the first quarter of 15%, down from 20% in the previous quarter. As previously stated, we do expect speeds to increase in the second quarter related to our agency RMBS but do not anticipate a significant impact to our overall results as our exposure to this sector is limited.

The residential MBS portfolio was financed in part with $76 million of repurchase agreements with an average cost of 25 basis points and when giving effect to to our interest rate swaps, approximately 292 basis points. Average share counting the outstanding purchase agreement is presently 5.7% consistent with the previous quarter.

The Company [had repossessed in] with four counterparties and its current leverage ratio is 1.2 to 1. Our non-agency portfolio that we purchased during 2009 had an average cost of 60% of current par value and has a 9% average credit support or an implied credit support of almost 49%. Securities had an average coupon of 5.29% or an average cash coupon of 8.82% on invested cash prior to any amortization discount.

$46 million of CLO notes which we purchased during the first quarter of 2009 for $9 million are currently valued as of March 31 at $22 million and continued to perform very well. CLOS backed by 119 loans from over 25 different sectors mostly comprised of the middle-market corporate credits. The structure continues to be actively managed by JMP Credit.

Additionally, the investment portfolio includes $259 million of loans held in securitization trust for our on-balance-sheet securitizations. These loans had an average coupon of 4.54% and an average yield of 4.35% for the first quarter.

These loans are permanently financed with $250 million of collateralized debt obligations which had an average cost of 91 basis points during the quarter resulting in a net interest margin or excess spread of 344 basis points. The Company's net investment in securitization is approximately $10 million.

At March 31, 2010 the securitization had $17 million and greater than 60 day delinquencies or 35 loans as compared to $17.1 million in greater than 60 day delinquencies or 36 loans as of December 31, 2009. There were three REO properties totaling $0.9 million as of March 31, 2010 as compared to two REO properties totaling $0.7 million in the previous quarter.

The Company continues to work with its delinquent borrowers in negotiating short-term repayments which should bring a large percentage of our past due loans current over the ensuing 12 months. As these are temporary plans, these loans are reported through the securitization trust in [respected] delinquency categories.

Of the $17 million of seriously delinquent loans as of March 31, 2010; three of these loans totaling approximately $7.6 million are in the process of becoming current or have sufficient asset coverage to mitigate any loss exposures. The Company spent the first quarter pursuing opportunities away from traditional investments that we believe if successful will provide an above average return over a longer economic and interest rate cycle. We look forward to discussing these prospects in the future as they become closer to fruition.

Jim and I now will take any questions that you may have. Operator, if you could please open up for the first question.

(Operator Instructions) Pardon me, sir. I'm showing no questions at this time.

Operator, we must've done a great job then. Thank you and thank you for being on the call and we look forward to speaking to you in the second quarter.

Ladies and gentlemen, that does conclude the program. You may now disconnect. Have a great day.